I have in my possession, a Mysterious Egg, I am in the Command Room of a Ranch and I've been clicking the Interact Button on the Incubator for quite some time. It detects that I am holding the Egg and opens up for to put it in but it is still an egg afterwards.

I'm not sure if there is a time thing for it, but from my past interactions with others that done this it is pretty instantaneous thing. And no I haven't crated my Egg, it has been so far on my back for the past month I had it and just now decided to hatch the Egg.